Showing 1 - 10 of 86
This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro in 1999. While it is commonly assumed that markets for EMU government bonds were closely integrated prior to the EMU debt crisis, we find that there is significant time...
Persistent link: https://www.econbiz.de/10011813723
In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes form a 1/2-null recurrent...
Persistent link: https://www.econbiz.de/10013029366
The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are introduced and their properties discussed. These include the smooth transition regression model, the switching regression model whose univariate counterpart is called threshold...
Persistent link: https://www.econbiz.de/10014023698
This paper considers a general model specification between a parametric co-integrating model and a nonparametric co-integrating model in a multivariate regression model, which involves a univariate integrated time series regressor and a vector of stationary time series regressors. A new and...
Persistent link: https://www.econbiz.de/10013101176
We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a factor augmented regression [FAR] model. The predictors in the model includes a small number of factors generated to extract most of the information in a set of panel data on a...
Persistent link: https://www.econbiz.de/10013232353
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...
Persistent link: https://www.econbiz.de/10010239725
We show that small trends do not influence log-periodogram based estimators for the memory parameter in a stationary invertible long-memory process. In the case of slowly decaying trends which are easily confused with long-range dependence we show by Monte Carlo methods that the tapered...
Persistent link: https://www.econbiz.de/10009776759
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...
Persistent link: https://www.econbiz.de/10010509839
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136
This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed model is then estimated by a nonparametric series method. An asymptotic theory is established in both point-wise and the space metric sense for the estimator. The Monte Carlo...
Persistent link: https://www.econbiz.de/10013014831